The FAQ for [MAR21.8] specifies that inflation and cross-currency
bases should be considered for Vega risk factors, without an underlying
residual maturity dimension. However, [MAR21.93] and
[MAR21.94] do not specify the correlation parameter $\rho_{kl}$ when
one of the underlyings is an Inflation or Basis curve (and hence do not
have an underlying maturity).
In the FRTB Accelerator
, when one of the underlying curves is an
inflation or cross-currency basis curve, we use [MAR21.94] with
$\rho_{kl}^{(DELTA)}$ equal to 0% or 40% as determined by [MAR21.48] and [MAR21.49].